270 citations · 352 across the 19 of their papers we have counts for
5 papers · 1 filter
Exact and efficient simulation of tail probabilities of heavy-tailed infinite series
Henrik Hult, Sandeep Juneja, Karthyek Murthy
We develop an efficient simulation algorithm for computing the tail probabilities of the infinite series when random variables are heavy-tailed.…
Quantifying Distributional Model Risk via Optimal Transport
Jose Blanchet, Karthyek R. A. Murthy
This paper deals with the problem of quantifying the impact of model misspecification when computing general expected values of interest. The methodology that we propose is applica…
Tail Asymptotics for Delay in a Half-loaded GI/GI/2 Queue with Heavy-tailed Job Sizes
Jose Blanchet, Karthyek Murthy
We obtain asymptotic bounds for the tail distribution of steady-state waiting time in a two server queue where each server processes incoming jobs at a rate equal to the rate of th…
Exact Simulation of Multidimensional Reflected Brownian Motion
Jose Blanchet, Karthyek R. A. Murthy
We present the first exact simulation method for multidimensional reflected Brownian motion (RBM). Exact simulation in this setting is challenging because of the presence of correl…
State-independent Importance Sampling for Random Walks with Regularly Varying Increments
Karthyek R. A. Murthy, Sandeep Juneja, Jose Blanchet
We develop importance sampling based efficient simulation techniques for three commonly encountered rare event probabilities associated with random walks having i.i.d. regularly va…